Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0784
Annualized Std Dev 0.1922
Annualized Sharpe (Rf=0%) 0.4081

Row

Daily Return Statistics

Close
Observations 4315.0000
NAs 1.0000
Minimum -0.1157
Quartile 1 -0.0041
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0057
Maximum 0.1078
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0121
Skewness -0.3289
Kurtosis 12.6251

Downside Risk

Close
Semi Deviation 0.0089
Gain Deviation 0.0086
Loss Deviation 0.0101
Downside Deviation (MAR=210%) 0.0134
Downside Deviation (Rf=0%) 0.0087
Downside Deviation (0%) 0.0087
Maximum Drawdown 0.5633
Historical VaR (95%) -0.0177
Historical ES (95%) -0.0300
Modified VaR (95%) -0.0176
Modified ES (95%) -0.0274
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2013-02-14 -0.5633 1347 355 992
2020-02-20 2020-03-23 2020-08-24 -0.3500 130 23 107
2018-09-21 2018-12-24 2019-07-03 -0.2095 196 65 131
2015-05-22 2016-02-11 2016-07-12 -0.1573 287 183 104
2018-01-29 2018-02-08 2018-08-06 -0.0988 132 9 123

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 -0.2 0.9 0.4 -0.1 0.3 -1 0.1 0.9 1.5 0 1.4 -0.1 4.1
2005 0.6 0.4 -0.6 1 0.7 0 0.3 0.4 0 -0.2 1.2 -0.4 3.5
2006 0.2 0.9 -0.2 -0.6 1.2 0.1 -0.6 0.6 -0.3 -0.7 -0.3 -0.6 -0.2
2007 0.3 -0.4 -0.1 0.2 0.3 -0.6 0.9 1.2 1.3 -2.6 0.6 -0.7 0.3
2008 1.4 -2.8 3.6 1.9 0.1 0.2 -0.4 -1 -0.3 1.1 -9.1 1.6 -4
2009 -2.5 -2.2 2.1 0.2 2.9 0.5 0.1 -2.1 -2.6 -2.9 1.2 -1 -6.5
2010 1.3 1.2 0.6 -1.6 -1.6 -0.4 0.1 3.1 0.4 -0.1 2.2 -0.1 5.1
2011 1.8 -1.6 0.4 0.2 -2.3 1.5 -0.4 -1.5 -2.4 -3 0.1 -0.3 -7.3
2012 1 0.8 0.3 0.6 -2.6 2.7 -0.4 -1.8 0.1 1 -0.1 1.8 3.2
2013 1 0.2 -0.5 -1 -1.4 0.7 1.3 -0.5 0.8 0.3 0 0.5 1.3
2014 -0.6 0.2 0.7 0 0.1 0.8 -0.3 0.4 -1.3 1.2 -0.6 -1 -0.5
2015 -1.2 -0.3 -0.3 1 0.2 0.8 -0.1 -3 0.2 -0.5 1.1 -0.9 -3
2016 0.1 2.4 0.5 -0.6 0.1 0.3 -0.1 0 0.8 -0.7 -0.3 -0.4 2.3
2017 0 1.4 -0.2 0.3 0.9 0.1 0.2 0.3 0.3 0.1 -0.1 -0.4 2.9
2018 -0.1 -1.2 1.4 0.2 1.1 0.1 0 0 0.2 1.2 0.7 1 4.6
2019 0.2 0.7 1.2 -0.7 -1.3 0.8 -0.7 0 -1.3 1 -0.5 0.3 -0.3
2020 -1.8 -0.7 -4.8 -2.8 0.6 0.5 0.5 0.9 0.8 -1.1 1.1 0.4 -6.2
2021 1.7 2.5 0.1 NA NA NA NA NA NA NA NA NA 4.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-01-23  25.0 SPY    114. -0.0032   0.0057   0.0435   0.105     0.290   -0.142  -0.0859 <NA>     NA    NA       NA
2 2004-01-26  25.3 SPY    116.  0.0126   0.0144   0.056    0.121     0.341   -0.140  -0.0818 <NA>     NA    NA       NA
3 2004-01-27  25.1 SPY    115. -0.0103   0.0042   0.0462   0.107     0.346   -0.144  -0.0665 <NA>     NA    NA       NA
4 2004-01-28  24.7 SPY    113. -0.0114  -0.015    0.0335   0.094     0.321   -0.160  -0.075  <NA>     NA    NA       NA
5 2004-01-29  24.9 SPY    113.  0.001   -0.0115   0.0209   0.0804    0.312   -0.165  -0.0835 <NA>     NA    NA       NA
6 2004-01-30  24.8 SPY    113.  0       -0.0083   0.0207   0.0789    0.344   -0.168  -0.0998 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart